Credit Correlation: Life After Copulas
eBook - PDF

Credit Correlation: Life After Copulas

Life After Copulas

  1. 176 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Credit Correlation: Life After Copulas

Life After Copulas

Book details
Table of contents
Citations

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Yes, you can access Credit Correlation: Life After Copulas by Alexander Lipton, Andrew Rennie in PDF and/or ePUB format, as well as other popular books in Biological Sciences & Science General. We have over one million books available in our catalogue for you to explore.

Information

Publisher
World Scientific
Year
2007
ISBN
9789812709509
Topic
Biological Sciences
Subtopic
Science General
Index
Biological Sciences

Table of contents

  1. CONTENTS
  2. Introduction
  3. Levy Simple Structural Models M. Baxter
  4. Cluster-Based Extension of the Generalized Poisson Loss Dynamics and Consistency with Single Names D. Brigo, A. Pallavicini and R. Torresetti
  5. Stochastic Intensity Modeling for Structured Credit Exotics A. Chapovsky, A. Rennie and P. Tavares
  6. Large Portfolio Credit Risk Modeling M. H. A. Davis and J. C. Esparragoza-Rodriguez
  7. Empirical Copulas for CDO Tranche Pricing Using Relative Entropy M. A. H. Dempster, E. A. Medova and S. W. Yang
  8. Pricing and Hedging in a Dynamic Credit Model Y. Elouerkhaoui
  9. Joint Distributions of Portfolio Losses and Exotic Portfolio Products F. Epple, S. Morgan and L. Schloegl
  10. On the Term Structure of Loss Distributions: A Forward Model Approach J. Sidenius